宏观金融综述Macro-finance Review
朱英姿,杨尚卿
摘要(Abstract)：
本文聚焦于宏观经济学与金融摩擦的交汇领域，系统梳理金融摩擦在动态随机一般均衡(DSGE)框架中的建模路径，探讨其如何通过代理问题和信息不对称导致的信贷约束、流动性限制、金融中介和资产价格等渠道影响宏观金融系统的波动与系统风险。文章重点分析金融加速器、外部融资溢价、流动性螺旋等放大机制，并结合契约理论阐释其微观基础与政策含义。在资产定价部分，本文回顾了基于消费、基于投资(q理论)、基于生产以及基于中介的资产定价模型的发展，着重探讨宏观结构模型与金融市场实证特征之间的内在联系，以在企业资产回报率的微观数据与宏观波动之间建立动态因果关系。本文梳理宏观金融理论与微观机制的建模框架及其演进脉络，侧重理论构建而淡化模型校准与实证细节；这些植根于微观机制的模型，可为中国相关问题建模提供直接借鉴。
关键词(KeyWords)： 金融摩擦;金融加速器;流动性螺旋;资产定价
基金项目(Foundation):
作者(Author): 朱英姿,杨尚卿
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- (1)已有文献常将DSGE模型与线性化求解方法联系在一起,早期研究多依赖对状态变量的局部线性近似。随着研究推进,越来越多的模型采用非线性求解;尽管结构上仍符合动态随机一般均衡设定,部分文献为与传统线性化区分,并不将其明确归入“DSGE”范畴。本文的分类标准不取决于具体求解技术,而是依据模型聚焦的经济问题。因此,无论采用线性或非线性方法,只要模型具备动态、随机、一般均衡特征,本文均统称为DSGE模型。 (2)鉴于篇幅限制,本文仅梳理部分具有代表性的理论和实证文献,难以穷尽所有相关研究。